Wednesday, February 12, 2014

Bayesian Model Selection - A Worked Example

Choosing between non-nested models can be challenging. A lot of statisticians and econometricians find that a Bayesian approach has a lot to offer when it comes to addressing this challenge. I'm certainly of that view myself.

Let me take you through an empirical example of Bayesian model selection - it involves alternative regression models for the demand for beer in Australia - and it's one that I use, sometimes, in class.